NORMAL Normal Random Number Generators

NORMAL
is a FORTRAN90 library which
returns a sequence of normally distributed pseudorandom numbers.

NORMAL is based on two simple ideas:

the use of a fairly simple uniform pseudorandom number generator,
which can be implemented in software;

the use of the Box-Muller transformation to convert pairs of
uniformly distributed random values to pairs of normally distributed
random values.

Using these ideas, it is not too hard to generate normal sequences
of real or complex values, of single or double precision. These
values can be generated as single quantities, vectors or matrices.
An associated seed actually determines the sequence. Varying
the seed will result in producing a different sequence.

The fundamental underlying random number generator used here
is based on a simple, old, and limited linear congruential random
number generator originally used in the IBM System 360.

This library makes it possible to compare certain computations
that use normal random numbers, written in C, C++, FORTRAN77,
FORTRAN90, MATLAB or Python.

Licensing:

The computer code and data files described and made available on this web page
are distributed under
the GNU LGPL license.

TRUNCATED_NORMAL,
a FORTRAN library which
works with the truncated normal distribution over [A,B], or
[A,+oo) or (-oo,B], returning the probability density function (PDF),
the cumulative density function (CDF), the inverse CDF, the mean,
the variance, and sample values.

UNIFORM,
a FORTRAN90 library which
computes elements of a uniformly distributed pseudorandom sequence.